PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

被引：38

作者：

Bayraktar, Erhan ^{[1
]}

Xing, Hao ^{[2
]}

机构：

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

[2] London Sch Econ, London, England

来源：

MATHEMATICAL FINANCE | 2011年 / 21卷 / 01期

基金：

美国国家科学基金会;

关键词：

pricing Asian options; jump diffusions; an iterative numerical scheme; classical solutions of integro partial differential equations; MODEL;

D O I：

10.1111/j.1467-9965.2010.00426.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We construct a sequence of functions that uniformly converge (on compact sets) to the price of an Asian option, which is written on a stock whose dynamics follow a jump diffusion. The convergence is exponentially fast. We show that each element in this sequence is the unique classical solution of a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accuracy versus speed characteristics can be controlled. We analyze the performance of our numerical algorithm on several examples.

引用

页码：117 / 143

页数：27

共 17 条

[1]

[Anonymous], 2003, FINANCIAL MODELING J

[2] A PROOF OF THE SMOOTHNESS OF THE FINITE TIME HORIZON AMERICAN PUT OPTION FOR JUMP DIFFUSIONS [J].